A path-independent approach to integrated variance under the CEV model (Q2228592)
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scientific article; zbMATH DE number 7313334
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| English | A path-independent approach to integrated variance under the CEV model |
scientific article; zbMATH DE number 7313334 |
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A path-independent approach to integrated variance under the CEV model (English)
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19 February 2021
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CEV process
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realized variance
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small disturbance asymptotic expansion
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Brownian bridge
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conditional Monte-Carlo simulation
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0.8506237268447876
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0.814375102519989
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0.7915394306182861
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0.7753977179527283
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0.7743029594421387
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